A class of solvable stopping games

DOI10.1007/S00245-008-9035-ZzbMATH Open1170.91365OpenAlexW2047218433MaRDI QIDQ2391240FDOQ2391240

Authors: Luis H. R. Alvarez 

Publication date: 24 July 2009

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://www.ace-economics.fi/kuvat/ACE11%20Alvarez.pdf

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zbMATH Keywords

fundamental solutionslinear diffusionsDynkin gamesminimal excessive functions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Games of timing (91A55)

Cites Work

• Title not available (Why is that?)
• Nonlinear variational inequalities and differential games with stopping times
• On the optimal stopping problem for one-dimensional diffusions.
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• Continuous-Time Dynkin Games with Mixed Strategies
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• Continuous-time games of timing
• Optimal Stopping Games for Markov Processes
• The Value of Zero-Sum Stopping Games in Continuous Time
• Game options
• On the value of optimal stopping games
• Stochastic Forest Stand Value and Optimal Timber Harvesting
• Optimal Stopping of One-Dimensional Diffusions
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• Some calculations for Israeli options
• Stochastic games and variational inequalities
• Reward functionals, salvage values, and optimal stopping
• A class of solvable impulse control problems
• Bounded Variation Singular Stochastic Control and Dynkin Game
• Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
• Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems
• Properties of game options

Cited In (17)

• Optimal decision under ambiguity for diffusion processes
• Optimal stopping of one-dimensional diffusions with integral criteria
• Dynkin games with heterogeneous beliefs
• A note on optimal stopping of diffusions with a two-sided optimal rule
• An application of Ramsey theorem to stopping games.
• Stopping games with randomized strategies
• PERPETUAL CANCELLABLE AMERICAN CALL OPTION
• On solvability of a two-sided singular control problem
• Preemption games under Lévy uncertainty
• On some kind of Dynkin's stopping game
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Crowding games are sequentially solvable
• Dynkin's games and Israeli options
• Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
• A Singular Stochastic Control Problem with Interconnected Dynamics
• A Dynkin game with asymmetric information
• A zero-sum Poisson stopping game with asymmetric signal rates

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